在R中计算每月对XTS对象的滚动年回报

library(xts)

# 创建一个示例XTS对象
data <- xts(c(100, 110, 120, 130, 140, 150, 160, 170, 180, 190, 200, 210),
            order.by = as.Date(c("2021-01-01", "2021-02-01", "2021-03-01", "2021-04-01",
                                 "2021-05-01", "2021-06-01", "2021-07-01", "2021-08-01",
                                 "2021-09-01", "2021-10-01", "2021-11-01", "2021-12-01")))

# 将XTS对象转换为月度数据
monthly_data <- to.monthly(data)

# 定义计算滚动年回报的函数
calculate_annual_return <- function(x) {
  return((last(x) - first(x)) / first(x))
}

# 使用rollapply函数计算每月的滚动年回报
rollapply_result <- rollapply(monthly_data, width = 12, FUN = calculate_annual_return, by.column = FALSE)

# 打印结果
print(rollapply_result)